0.05710430450701609
Kerry Back
\[ y = \max(0,b+w_1x_1 + \cdots + w_nx_n)\]
\[z = b+w_1y_1 + \cdots + w_ny_n\]
R-squared:
0.05710430450701609
A prediction:
array([0.50508646])
Sort based on predictions and compute portfolio returns (in sample):
quintile
1 0.053221
2 0.033489
3 0.059069
4 0.138418
5 0.259297
Name: ret, dtype: float64